Transcription of THE RELATIONSHIP BETWEEN CREDIT DEFAULT SWAP …
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THE RELATIONSHIP BETWEEN CREDIT DEFAULT SWAP …
THE RELATIONSHIP BETWEEN CREDIT DEFAULT SWAP SPREADS, BOND YIELDS, AND CREDIT RATING ANNOUNCEMENTS John Hull, Mirela Predescu, and Alan White* Joseph L. Rotman School of Management University of Toronto 105 St George Street Toronto, ON M5S 3E6 Canada e-mail addresses: First Draft: September 2002 This Draft: March 2003 * Joseph L. Rotman School of Management, University of Toronto. We are grateful to Moody's Investors Service for financial support and for making their historical data on company ratings available to us.
2 THE RELATIONSHIP BETWEEN CREDIT DEFAULT SWAP SPREADS, BOND YIELDS, AND CREDIT RATING ANNOUNCEMENTS Abstract A company’s credit default swap spread is the cost per annum for protection against a
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